I'm an Australian, so my definitions vary somewhat from the American definitions.

A fruit jelly is made from the juice of the fruit and sugar, so you end up with a smooth, almost clear product. It is otherwise made in the same way as a jam, and it's used much like jam is used. The other kind of jelly is made from coloured gelatine and is usually served as a dessert - or to tonsillectomy patients!

A jam may or may not have lumps in it, depending on how small you chop the fruit pieces, and how they break down during the cooking process. I tend to prefer non-lumpy jams, so I often put the cooked jam through the food processor (briefly) for a smoother product, then reboil before bottling. For marmalades, I strain out the peel - and that means I end up with a 'marmalade jelly'. A jam is also much thicker in consistency than a jelly, and it always has fruit pieces in it, not just the juice.

Preserves in my part of the world can be either a jam - smooth or lumpy depending on who makes it (usually commercially-produced) - but mostly it is home-preserved bottled fruit - what the Americans call 'canned'. Fruit in a bottle covered in syrup then hot-water-bathed to seal on the lids.

Then you get conserves. Always a jam, but mostly a smooth, non-lumpy one. If a berry conserve, the seeds have usually been removed, so it's more like a very thick jelly than a jam - but it uses the fruit, not just the juice.